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蟻元演算法應用於股票市場之投資分析-以台灣三種類股為例

Applying Ant Algorithm on the Investment Selections of the Stock Market-The Case from Three Industries in Taiwan

摘要


本研究運用螞蟻族群最佳化(Ant Colony Optimization; ACO)設計與建構投資決策。本研究以台灣證券交易所「93年度股票交易量值統計表」為選取樣本準則,並藉銀行投資為避險策略;而研究期間為2002/01/01至2004/12/31。運用螞蟻演算法,以歷史資料作為本系統費洛蒙累積、各股的報酬率及成交量做為本研究系統架構中費洛蒙及能見度指標,進行本系統投資實證。

並列摘要


In this research apply of the Ant Colony Optimization to the design and construction invests the decision. Make use of the Ant Algorithm, The visibility index sign and pheromone updating for ACO system to promote solution quality of shortest path of Traveling Sales Problem. So use the visibility index sign and pheromone by this the application. In this research takes the Taiwan Stock Exchange Corporation ”Securities Trading 2004 year”, The trade volume, and rate of returns of returns from February 2002 to the end of December 2004 are the inputs for our system. In addition to three stocks, our research has the banks as the fourth option in the selection of the investment.

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